Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data

Arito ONO, Kosuke AOKI, Shinichi NISHIOKA, Kohei SHINTANI, Yosuke YASUI
Based on a mean-variance model of bank portfolio selection subject to the value-at-risk constraint, we make predictions on transmission channels through which lower long-term interest rates increase bank loan supply: the portfolio balance channel, the bank balance sheet channel, and the risk-taking ...
Keywords: monetary policy, bank loan, portfolio balance channel, bank balance sheet channel, risk-taking channel, value-at-risk constraint
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Lender of Last Resort versus Buyer of Last Resort - The Impact of the European Central Bank Actions on the Bank-Sovereign Nexus

Viral V. ACHARYA, Diane PIERRET, Sascha STEFFEN
In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks, precipitating a run on their short-term debt. We assess the effectiveness of different European Central Bank (ECB) interventions that followed – lender of last resort vs. buyer o...
Keywords: Money market funds, repos, bank risk, sovereign debt, ECB
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2016

International Transmissions of Monetary Shocks: Between a Trilemma and a Dilemma

Shang-Jin WEI, Xuehui HAN
This paper re-examines international transmissions of monetary policy shocks from advanced economies to emerging market economies. In terms of methodologies, it combines three novel features. First, it separates co-movement in monetary policies due to common shocks from spillovers of monetary polici...
Keywords: Interest rate shocks, Fixed exchange rate, Flexible exchange rate, dilemma, trilemma, Capital flow management
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2016

Declining Trends in the Real Interest Rate and Inflation: Role of Aging

Shigeru FUJITA, Ippei FUJIWARA
This paper explores a causal link between aging of the labor force and declining trends in the real interest rate and inflation in Japan. We develop a New Keynesian search/matching model that features heterogeneities in age and firm-specific skills. Using the model, we examine the long-run implicati...
Keywords: aging, natural rate, deflation, Japan
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

A Macroprudential Stable Funding Requirement and Monetary Policy in a Small Open Economy

Punnoose JACOB, Anella MUNRO
The Basel III net stable funding requirement, scheduled for adoption in 2018, requires banks to use a minimum share of long-term wholesale funding and deposits to fund their assets. This paper introduces a stable funding requirement (SFR) into a small open economy DSGE model featuring a banking sect...
Keywords: DSGE models, prudential policy, monetary policy, small open economy, sticky interest rates, Banks, wholesale funding
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